SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro
16 references·1 citing·35 second hop
Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro (2019)Market Impact on financial market integra…The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Does globalization affect growth? Evidence from a new index of globalization (2006)Does globalization affect gro…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)Industrial Structure and the …Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Economic Integration and Endogenous Growth (1991)Economic Integration and Endo…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The Theory of Economic Integration (1962)The Theory of Economic Integr…A Theory of Optimum Currency Areas (1961)A Theory of Optimum Currency …Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions (2022)Partial cross-quantilogram ne…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Optimum Currency Areas (1991)No Single Currency Regime is Right for All Countries or At All Times (1999)Fear of Floating (2000)From Principles of Political Economy (2005)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Residual-based tests for cointegration in models with regime shifts (1996)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)The Quarterly Journal of Economics (2024)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1961A Theory of Optimum Currency Areas4,546 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
  • 2006Does globalization affect growth? Evidence from a new index of globalization3,183 cited
  • 1991Economic Integration and Endogenous Growth2,025 cited
  • 1962The Theory of Economic Integration993 cited
  • 1990Stock Returns and Real Activity: A Century of Evidence733 cited
  • 1992Industrial Structure and the Comparative Behavior of International Stock Market Indices

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

662 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series553 cited
  • Cited by

    • 2022Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions20 cited